Ok, this is probably going to take a little work, but I think it's worth it. My guess is that one pipe is an intake and the other is an exhaust. Start by exposing both vents from the furnace to the exterior wall. The exterior wall is probably where your biggest problem lies. Many times, sloppy insulators or HVAC installers just force the ducts and intake together and forget to seal around the opening and "forget" to insulate this particular section of rim joist. If you have just a cheap intake, don't worry about it. Intake vents normally are fully open, the only thing between the opening and the duct should be some larger size mesh to keep mice out. Do not be tempted to cram fiberglass insulation in the opening to plug it. Your utility room needs this outside air to reduce CO buildup from combustion. As for the exhaust outlet (also called hood), it will often have a tin flap similar to a dryer vent. It may be worthwhile upgrading this outlet vent to a flap that is rimmed with foam insulation or some other form of one way closure. This will prevent cold back flow when your furnace or hot water tank is not burning. If you replace the exhaust outlet, make sure you caulk around the opening in the wall on the exterior before pushing the outlet in the opening. Next, tape all joints in the ductwork with quality duct tape. Then, buy a bottle of that expanding spray foam and seal around the ducts to close the often oversized holes cut into the rim joists. It's not uncommon for sloppy HVAC guys to hack an 7" or bigger hole for a 5" outlet.
Then, using fiberglass batted insulation, insulate around the ducts to properly cover the rim joist with insulation. After this, wrap the ducts with insulation all the way to the furnace. Then, seal it up.
Don't cover this outlet that spews out cold air! If you are worried about the cold air getting into the rest of your house, build an insulated utility closet around your furnace and hot water tank.
Hope this helps.